YM test system

Discussion in 'Strategy Development' started by cmaxb, Jan 5, 2008.

  1. cmaxb

    cmaxb

    I am developing an intraday (20m) system for YM. I don't know much about the practicalities of trading a system, just a programmer.

    Targets are $1100
    Stops are $600
    Avg win is $125

    All stats per contract. I think I would need about 10K per contract. I don't think I would trade it though unless I had 2 yrs of backhistory.
     
  2. cmaxb

    cmaxb

    ...
     
  3. cmaxb

    cmaxb

    Equity curve:
     
  4. lrm

    lrm

    cmaxb,

    What software is this?

    Thanks,

    Louis
     
  5. cmaxb

    cmaxb

    esignal
     
  6. 20m as in 20 minute bars?
     
  7. cmaxb

    cmaxb

    yes.
     
  8. Ok

    target 1100$
    average win 125$

    so you nearly always exit before reaching target?
     
  9. cmaxb

    cmaxb

    Yea, it hits a stop or target about once a week.
     
  10. vikana

    vikana Moderator

    those stats actually look pretty good. I would examine the profit target, as the run-up shows it to be "too far away".

    Depending on whether you enter/exit on limits/stops/market you have to give YM at least 5 ticks slip and for limits make sure you trade through your limit in simulation.
     
    #10     Jan 6, 2008